code.vegaprotocol.io/vega@v0.79.0/core/integration/features/amm/0090-VAMM-037.feature

Feature: 0090-VAMM-037: Pegged orders are deployed using vAMM orders as pegs if possible
  Background:
    Given the average block duration is "1"
    And the margin calculator named "margin-calculator-1":
      | search factor | initial factor | release factor |
      | 1.2           | 1.5            | 1.7            |
    And the log normal risk model named "log-normal-risk-model":
      | risk aversion | tau                   | mu | r   | sigma |
      | 0.001         | 0.0011407711613050422 | 0  | 0.9 | 3.0   |
    And the liquidity monitoring parameters:
      | name       | triggering ratio | time window | scaling factor |
      | lqm-params | 1.00             | 20s         | 1              |
      
    And the following network parameters are set:
      | name                                                | value |
      | market.value.windowLength                           | 60s   |
      | network.markPriceUpdateMaximumFrequency             | 2s    |
      | limits.markets.maxPeggedOrders                      | 6     |
      | market.auction.minimumDuration                      | 1     |
      | market.fee.factors.infrastructureFee                | 0.001 |
      | market.fee.factors.makerFee                         | 0.004 |
      | spam.protection.max.stopOrdersPerMarket             | 5     |
      | market.liquidity.equityLikeShareFeeFraction         | 1     |
	  | market.amm.minCommitmentQuantum                     | 1     |
      | market.liquidity.bondPenaltyParameter               | 0.2   |
      | market.liquidity.stakeToCcyVolume                   | 1     |
      | market.liquidity.successorLaunchWindowLength        | 1h    |
      | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0.1   |
      | market.liquidity.sla.nonPerformanceBondPenaltyMax   | 0.6   |
      | validators.epoch.length                             | 10s   |
      | market.liquidity.earlyExitPenalty                   | 0.25  |
      | market.liquidity.maximumLiquidityFeeFactorLevel     | 0.25  |
    #risk factor short:3.5569037
    #risk factor long:0.801225765
    And the following assets are registered:
      | id  | decimal places |
      | USD | 0              |
    And the fees configuration named "fees-config-1":
      | maker fee | infrastructure fee |
      | 0.0004    | 0.001              |

    And the liquidity sla params named "SLA-22":
      | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
      | 0.5         | 0.6                          | 1                             | 1.0                    |

    And the markets:
      | id        | quote name | asset | liquidity monitoring | risk model            | margin calculator   | auction duration | fees          | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params |
      | ETH/MAR22 | USD        | USD   | lqm-params           | log-normal-risk-model | margin-calculator-1 | 2                | fees-config-1 | default-none     | default-eth-for-future | 1e0                    | 0                         | SLA-22     |

    # Setting up the accounts and vAMM submission now is part of the background, because we'll be running scenarios 0090-VAMM-006 through 0090-VAMM-014 on this setup
    Given the parties deposit on asset's general account the following amount:
      | party  | asset | amount  |
      | lp1    | USD   | 1000000 |
      | lp2    | USD   | 1000000 |
      | lp3    | USD   | 1000000 |
      | party1 | USD   | 1000000 |
      | party2 | USD   | 1000000 |
      | party3 | USD   | 1000000 |
      | party4 | USD   | 1000000 |
      | party5 | USD   | 1000000 |
      | vamm1  | USD   | 1000000 |

    When the parties submit the following liquidity provision:
      | id   | party | market id | commitment amount | fee   | lp type    |
      | lp_1 | lp1   | ETH/MAR22 | 600               | 0.02  | submission |
      | lp_2 | lp2   | ETH/MAR22 | 400               | 0.015 | submission |
    Then the network moves ahead "4" blocks
    And the current epoch is "0"

    And the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | lp1    | ETH/MAR22 | buy  | 20     | 40    | 0                | TYPE_LIMIT | TIF_GTC | LP1BO     |
      | party1 | ETH/MAR22 | buy  | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC |           |
      | party2 | ETH/MAR22 | sell | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC |           |
      | lp1    | ETH/MAR22 | sell | 10     | 160   | 0                | TYPE_LIMIT | TIF_GTC | LP1SO     |
    When the opening auction period ends for market "ETH/MAR22"
    Then the following trades should be executed:
      | buyer  | price | size | seller |
      | party1 | 100   | 1    | party2 |

    And the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | target stake | supplied stake | open interest | ref price | mid price | static mid price |
      | 100        | TRADING_MODE_CONTINUOUS | 39           | 1000           | 1             | 100       | 100       | 100              |
    When the parties submit the following AMM:
      | party | market id | amount | slippage | base | upper bound | upper leverage | proposed fee |
      | vamm1 | ETH/MAR22 | 100000 | 0.1      | 100  | 150         | 4              | 0.01         |
    Then the AMM pool status should be:
      | party | market id | amount | status        | base | upper bound | upper leverage |
      | vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 100  | 150         | 4              |

    And set the following AMM sub account aliases:
      | party | market id | alias    |
      | vamm1 | ETH/MAR22 | vamm1-id |
    And the following transfers should happen:
      | from  | from account         | to       | to account           | market id | amount | asset | is amm | type                  |
      | vamm1 | ACCOUNT_TYPE_GENERAL | vamm1-id | ACCOUNT_TYPE_GENERAL |           | 100000 | USD   | true   | TRANSFER_TYPE_AMM_LOW |

  @VAMM
  Scenario: 0090-VAMM-037: With an existing book consisting solely of vAMM orders on one side, pegged orders referencing best bid/best ask remain deployed on the side with the vAMM orders. Pegged orders referencing the empty side of the book are parked.
    # LPs submit pegged iceberg orders
    When the parties place the following pegged iceberg orders:
      | party | market id | side | volume | peak size | minimum visible size | pegged reference | offset |
      | lp1   | ETH/MAR22 | buy  | 100    | 10        | 2                    | BID              | 5      |
      | lp1   | ETH/MAR22 | sell | 100    | 10        | 2                    | ASK              | 5      |
    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 20     |
      | buy  | 35    | 10     |
      | sell | 106   | 10     |
      | sell | 160   | 10     |

    # Make sure the book stays the same when moving ahead blocks
    When the network moves ahead "1" blocks
    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 20     |
      | buy  | 35    | 10     |
      | sell | 106   | 10     |
      | sell | 160   | 10     |

    When the parties cancel the following orders:
      | party | reference |
      | lp1   | LP1BO     |
      | lp1   | LP1SO     |
    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 0      |
      | buy  | 35    | 0      |
      | sell | 106   | 10     |
      | sell | 160   | 0      |

    # Move ahead 1 block to ensure the end block CheckBook call doesn't panic.
    When the network moves ahead "1" blocks
    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 0      |
      | buy  | 35    | 0      |
      | sell | 106   | 10     |
      | sell | 160   | 0      |

    # Switch sides, still on an empty book, the pegged orders on sell side are now parked
    # but the buy order is deployed again.
    When the parties amend the following AMM:
      | party | market id | slippage | base | lower bound |
      | vamm1 | ETH/MAR22 | 0.05     | 100  | 85          |
    Then the AMM pool status should be:
      | party | market id | amount | status        | base | lower bound |
      | vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 100  | 85          |

    When the network moves ahead "1" blocks
    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 0      |
      | buy  | 94    | 10     |
      | sell | 106   | 0      |
      | sell | 160   | 0      |

 @VAMM
 Scenario: 0090-VAMM-037: Cancelling an AMM with pegged orders hanging off its quotes causes them to be re-pegged

    And the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | ref price | mid price | static mid price | best bid price | best offer price |
      | 100        | TRADING_MODE_CONTINUOUS | 100       | 70        | 70               | 40             | 101              |


    When the parties place the following pegged orders:
      | party | market id | side | volume | pegged reference | offset |
      | lp1   | ETH/MAR22 | buy  | 100    | BID              | 5      |
      | lp1   | ETH/MAR22 | sell | 100    | ASK              | 5      |
    

    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 20     |
      | buy  | 35    | 100    |
      | sell | 106   | 100    |
      | sell | 160   | 10     |

    # cancel the AMM and the pegged order should get repriced
    When the network moves ahead "1" blocks
    When the parties cancel the following AMM:
    | party  | market id | method           |
    | vamm1 | ETH/MAR22 | METHOD_IMMEDIATE |

    Then the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | ref price | mid price | static mid price | best bid price | best offer price |
      | 100        | TRADING_MODE_CONTINUOUS | 100       | 100       | 100              | 40             | 160              |

    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 20     |
      | buy  | 35    | 100    |
      | sell | 160   | 10     |
      | sell | 165   | 100    |

    # submit a new AMM that will cause a reprice again
     When the network moves ahead "1" blocks
     When the parties submit the following AMM:
      | party | market id | amount | slippage | lower bound | base | upper bound | upper leverage | proposed fee |
      | vamm1 | ETH/MAR22 | 100000 | 0.1      | 90          | 100  | 150         | 4              | 0.01         |

    Then the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | ref price | mid price | static mid price | best bid price | best offer price |
      | 100        | TRADING_MODE_CONTINUOUS | 100       | 100       | 100              | 99             | 101              |


    Then the order book should have the following volumes for market "ETH/MAR22":
      | side | price | volume |
      | buy  | 40    | 20     |
      | buy  | 94    | 100    |
      | sell | 106   | 100    |
      | sell | 160   | 10     |